A nonparametric eigenvalue-regularized integrated covariance matrix estimator for asset return data (Q1668581)

From MaRDI portal
scientific article
Language Label Description Also known as
English
A nonparametric eigenvalue-regularized integrated covariance matrix estimator for asset return data
scientific article

    Statements

    A nonparametric eigenvalue-regularized integrated covariance matrix estimator for asset return data (English)
    0 references
    0 references
    0 references
    29 August 2018
    0 references
    high frequency data
    0 references
    microstructure noise
    0 references
    non-synchronous trading
    0 references
    integrated covariance matrix
    0 references
    minimum variance portfolio
    0 references
    nonlinear shrinkage
    0 references
    0 references
    0 references

    Identifiers